Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market PDF full book. Access full book title Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market by Timotheos Angelidis. Download full books in PDF and EPUB format.

Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market

Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market PDF Author: Timotheos Angelidis
Publisher:
ISBN:
Category :
Languages : en
Pages : 18

Book Description
We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most appropriate method for the Bank index in forecasting the one-day-ahead VaR is the symmetric model with normally distributed innovations, while the asymmetric model with asymmetric conditional distribution applies for the General index. On the other hand, the asymmetric model tracks closer the one-step-ahead intra day realized volatility with conditional normally distributed innovations for the Bank index but with asymmetric and leptokurtic distributed innovations for the General index. Therefore, as concerns the Greek stock market, there are adequate methods for predicting market risk but it does not seem to be a specific model that is the most accurate for all the forecasting tasks.
➤